CNNE Options History — February 2021

In February 2021, CNNE traded between $37.60 and $41.03. ATM implied volatility averaged 56.9%, placing in the 42.6% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded above realized volatility by 18.4% (HV 20d: 38.5%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.27.

Notable Days

2021-02-22: Highest Volume — 2,121 contracts
2021-02-25: Largest IV spike — 95.9% change
2021-02-23: Highest IV Rank — 71.3%
2021-02-08: Largest Expected Move — 22.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.30	$37.60	$41.03	$38.94	$37.60
Max Pain	$41.58	$35.00	$45.00	$40.00	$40.00
ATM IV	56.9%	33.8%	79.2%	65.3%	42.3%
Expected Move	17.5%	9.7%	22.9%	18.7%	12.1%
HV 20d	38.5%	35.6%	41.9%	38.5%	40.3%
HV 60d	31.8%	30.8%	33.1%	32.5%	33.1%
IV Rank	42.6%	12.9%	71.3%	53.4%	23.8%
IV Percentile	65.1%	15.5%	91.3%	79.8%	40.1%
Term Structure	2.9%	-38.0%	40.7%	33.4%	3.8%
VWIV	50.1%	32.1%	68.2%	68.2%	46.1%
Skew 25d	22.9%	-22.8%	56.5%	36.1%	-5.9%
Skew 10d	18.4%	-82.2%	100.6%	49.5%	15.8%
Call IV 25d	55.7%	31.4%	163.6%	163.6%	44.1%
Put IV 25d	78.7%	38.1%	199.6%	199.6%	38.1%
Bid-Ask Spread %	127.06	103.54	147.50	144.15	103.54
Gamma HHI	0.52	0.30	0.86	0.34	0.43
Net GEX	155.1K	24.9K	263.5K	115.5K	101.6K
Net DEX	-1.7M	-2.8M	-586.9K	-2.0M	-741.3K
Net VEX	-6.5K	-10.4K	-4.2K	-7.9K	-5.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.27	0.00	2.50	0.25	0.29
Total Volume	190.947	2	2,121	25	9
Total OI	2,477.263	673	3,666	2,206	3,563

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2021-02-01	$38.94	$40.00	65.3%	18.7%	38.5%	53.4%	68.2%	36.1%	33.4%	115.5K	-2.0M	-7.9K	0.25	144.15	20	5	1,958	248
2021-02-02	$40.47	$35.00	58.4%	16.7%	40.9%	44.5%	56.8%	30.5%	24.6%	170.6K	-2.6M	-7.8K	2.50	147.50	2	5	1,982	243
2021-02-03	$39.88	$40.00	72.9%	20.9%	40.9%	63.1%	63.2%	24.3%	-24.7%	150.8K	-2.6M	-7.8K	0.00	133.86	0	2	1,982	248
2021-02-04	$40.95	$45.00	40.5%	16.7%	41.9%	21.5%	0.0%	18.0%	-12.7%	223.6K	-2.2M	-6.3K	0.00	125.86	3	0	1,982	248
2021-02-05	$41.03	$45.00	43.7%	17.2%	36.1%	25.7%	41.9%	45.1%	4.5%	203.2K	-2.3M	-6.3K	1.60	129.37	5	8	1,979	248
2021-02-08	$41.01	$45.00	45.4%	22.9%	36.0%	27.8%	0.0%	-22.8%	-38.0%	202.6K	-2.5M	-6.5K	0.04	133.03	24	1	1,985	253
2021-02-09	$40.47	$45.00	47.1%	17.3%	35.6%	30.0%	0.0%	21.4%	-32.6%	185.9K	-2.3M	-6.1K	0.00	130.36	6	0	2,000	254
2021-02-10	$38.99	$45.00	70.0%	20.1%	37.4%	59.4%	66.6%	45.8%	-20.8%	92.5K	-2.8M	-7.4K	0.00	128.81	38	0	2,004	254
2021-02-11	$38.17	$45.00	69.6%	20.0%	37.2%	59.0%	0.0%	49.0%	-19.4%	116.3K	-936.7K	-4.6K	0.17	128.34	75	13	2,021	254
2021-02-12	$38.03	$45.00	66.8%	19.2%	37.2%	55.4%	61.9%	8.4%	-24.7%	98.4K	-990.0K	-5.3K	0.00	126.67	75	0	2,092	257
2021-02-16	$38.67	$40.00	52.9%	15.2%	38.1%	37.5%	48.4%	-6.3%	16.4%	186.5K	-1.3M	-5.2K	0.00	111.32	3	0	2,165	257
2021-02-17	$38.90	$40.00	53.9%	15.4%	38.2%	38.7%	37.5%	22.8%	8.7%	209.5K	-997.3K	-4.2K	0.00	138.69	49	0	2,167	257
2021-02-18	$38.65	$40.00	68.5%	19.6%	38.2%	57.5%	51.9%	56.5%	5.2%	198.2K	-1.0M	-4.8K	0.00	121.04	36	0	2,216	257
2021-02-19	$39.03	$40.00	33.8%	9.7%	38.2%	12.9%	32.1%	34.3%	15.3%	32.7K	-586.9K	-4.3K	0.00	119.63	18	0	2,231	257
2021-02-22	$37.90	$40.00	52.7%	15.1%	38.4%	37.2%	52.1%	51.5%	12.5%	24.9K	-629.3K	-4.4K	0.00	118.64	2,119	2	517	156
2021-02-23	$39.08	$40.00	79.2%	22.7%	39.7%	71.3%	48.8%	21.6%	26.1%	193.2K	-1.9M	-9.7K	0.00	125.38	54	0	3,274	159
2021-02-24	$39.80	$40.00	40.0%	11.5%	40.4%	20.9%	36.4%	7.8%	37.0%	263.5K	-2.3M	-10.4K	0.00	112.55	895	0	3,275	159
2021-02-25	$39.08	$40.00	78.3%	22.5%	38.1%	70.2%	40.1%	-3.0%	40.7%	177.4K	-1.5M	-8.3K	0.00	135.41	161	0	3,507	159
2021-02-26	$37.60	$40.00	42.3%	12.1%	40.3%	23.8%	46.1%	-5.9%	3.8%	101.6K	-741.3K	-5.5K	0.29	103.54	7	2	3,404	159